The Following Information Is Given About Options on the Stock $\sigma$

question 53

Multiple Choice

The following information is given about options on the stock of a certain company.
S₀ = 23 X = 20
r_c = 0.09 T = 0.5
$\sigma$ ² = 0.15
No dividends are expected.
Use this information to answer questions 1 through 8.
-If the actual call price is 3.79,the implied standard deviation is

• A)0.25
• B)greater than 0.25
• C)less than 0.25
• D)infinite
• E)none of the above

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